public void ResultingPositionsAreCorrectWithUnderlying()
{
var positions = Empty.AddRange(
Position(Call[100], -5),
// should match 4 covered calls
new OptionPosition(Underlying, 4)
);
var matches = CoveredCall.Match(positions).ToList();
Assert.AreEqual(1, matches.Count);
// underlying isn't included yet
Assert.AreEqual(1, matches[0].Legs.Count);
Assert.AreEqual(1, matches[0].Legs.Count(m => m.Position.Strike == 100 && m.Position.Quantity == -5));
var strategy = matches[0].CreateStrategy();
Assert.AreEqual(1, strategy.OptionLegs.Count);
Assert.AreEqual(1, strategy.UnderlyingLegs.Count);
Assert.AreEqual(1, strategy.OptionLegs.Count(m => m.Strike == 100 && m.Quantity == -4));
Assert.AreEqual(1, strategy.UnderlyingLegs.Count(m => m.Quantity == 4));
// assert the remaining positions are the expected ones
positions = matches[0].RemoveFrom(positions);
Assert.AreEqual(1, positions.Count);
Assert.AreEqual(1, positions.Count(m => !m.IsUnderlying && m.Strike == 100 && m.Quantity == -1));
}
public void CoveredCall_MatchesMultipleTimes_ForEachUniqueShortCallContract()
{
// CoveredCall
// 0: +1 underlying lot
// 1: -1 Call
// so we should match
// (4U, -4C100)
// (3U, -3C110)
// (5U, -5C120)
// (9U, -9C130)
// (20U, -20C140)
// OptionStrategyDefinition.Match produces ALL possible matches
var positions = Empty.AddRange(Position(Underlying, +20),
Position(Call[100], -4), Position(Put[105], -4),
Position(Call[105], +4), Position(Put[110], +4),
Position(Call[110], -3), Position(Put[115], -3),
Position(Call[115], +3), Position(Put[120], +3),
Position(Call[120], -5), Position(Put[125], -5),
Position(Call[125], +5), Position(Put[130], +5),
Position(Call[130], -9), Position(Put[135], -9),
Position(Call[140], -21), Position(Put[145], -21)
);
// force lower strikes to be evaluated first to provide determinism for this test
var options = OptionStrategyMatcherOptions.ForDefinitions(CoveredCall)
.WithPositionEnumerator(new FunctionalOptionPositionCollectionEnumerator(
pos => pos.OrderBy(p => p.IsUnderlying ? 0 : p.Strike)
));
var matches = CoveredCall.Match(options, positions).ToList();
Assert.AreEqual(5, matches.Count);
Assert.AreEqual(1, matches.Count(m => m.Multiplier == 4));
Assert.AreEqual(1, matches.Count(m => m.Multiplier == 3));
Assert.AreEqual(1, matches.Count(m => m.Multiplier == 5));
Assert.AreEqual(1, matches.Count(m => m.Multiplier == 9));
Assert.AreEqual(1, matches.Count(m => m.Multiplier == 20));
}
private static List <CoveredCall> GetCoveredCallsByLegType(OptionChain data, Dictionary <DateAndNumberOfDaysUntil, Prediction> predictions, /*EarningsCalendar calendar,*/
LegType legType, /*Signal volOfVol,*/ double?minimumPremiumParam, double?minimumReturnParam)
{
double minimumPremium = minimumPremiumParam ?? DefaultMinimumPremium;
double minimumReturn = minimumReturnParam ?? DefaultMinimumReturn;
HashSet <DateTime> optimalIsFound = new HashSet <DateTime>();
List <CoveredCall> coveredCalls = new List <CoveredCall>();
foreach (OptionPair optionChain in data)
{
Option option = legType == LegType.Call
? optionChain.CallOption
: optionChain.PutOption;
double bid = option.Bid;
double currentPremium = bid;
DateAndNumberOfDaysUntil expiry = optionChain.Expiry;
double lastPrice = data.UnderlyingCurrentPrice;
double strkePrice = optionChain.StrikePrice;
List <OptionPair> chainsWithTheSameExpiry = data.Where(x => x.Expiry == expiry).ToList();
// todo: optionChain.OptionType
//bool typeisSuitable = optionChain.OptionType == OptionType.Standard;
double daysQuantity = expiry.TotalNumberOfDaysUntilExpiry;
// Ignore expired options
if (daysQuantity < 0 || daysQuantity.AlmostEqual(0) /*|| !typeisSuitable*/)
{
continue;
}
bool strikePriceIsSuitable = legType == LegType.Call
? optionChain.StrikePrice > lastPrice
: optionChain.StrikePrice < lastPrice;
if (!strikePriceIsSuitable)
{
// Check if fifth strike is suitable
strikePriceIsSuitable = legType == LegType.Call
? chainsWithTheSameExpiry.Where(x => x.StrikePrice < lastPrice)
.OrderBy(x => lastPrice - x.StrikePrice)
.Take(5).Last().StrikePrice <optionChain.StrikePrice
: chainsWithTheSameExpiry.Where(x => x.StrikePrice > lastPrice)
.OrderBy(x => x.StrikePrice - lastPrice)
.Take(5).Last().StrikePrice> optionChain.StrikePrice;
}
if (!strikePriceIsSuitable)
{
continue;
}
double intrinsicValue = legType == LegType.Call
? lastPrice > optionChain.StrikePrice ? lastPrice - optionChain.StrikePrice : 0
: lastPrice < optionChain.StrikePrice ? optionChain.StrikePrice - lastPrice : 0;
double currentReturn = (Math.Pow(1 + (currentPremium - intrinsicValue) / lastPrice, 365.0 / daysQuantity) - 1) * 100;
bool firstAboveBelowStdDev = false;
Prediction prediction = predictions[optionChain.Expiry];
StdDevPrices stdDev = prediction.GetStdDevPrices(1);
bool deviationIsSuitable = legType == LegType.Call
? strkePrice > stdDev.UpPrice
: strkePrice < stdDev.DownPrice;
if (deviationIsSuitable)
{
firstAboveBelowStdDev = legType == LegType.Call
? chainsWithTheSameExpiry
.Where(x => x.StrikePrice >= stdDev.UpPrice)
.Select(y => y.StrikePrice - stdDev.UpPrice)
.Min()
.AlmostEqual(strkePrice - stdDev.UpPrice)
: chainsWithTheSameExpiry
.Where(x => x.StrikePrice <= stdDev.DownPrice)
.Select(y => stdDev.DownPrice - y.StrikePrice)
.Min()
.AlmostEqual(stdDev.DownPrice - optionChain.StrikePrice);
}
double probability = prediction.GetProbabilityByPrice(optionChain.StrikePrice) * 100;
double probabilityInSigmas = MarketMath.GetSigmaProbabilityByDeviation(probability / 100);
CoveredCall coveredCall = new CoveredCall();
coveredCall.Premium = currentPremium;
coveredCall.Return = currentReturn;
coveredCall.OptionNumber = option.OptionNumber;
coveredCall.Probability = probability;
coveredCall.ProbabilityInSigmas = probabilityInSigmas;
// if (volOfVol != null)
// {
// coveredCall.VolOfVol = volOfVol.Value;
// }
coveredCall.PercentAboveBelowCurrentPrice = Math.Abs((optionChain.StrikePrice - lastPrice)) / lastPrice * 100;
int numberOfStrikes = legType == LegType.Call
? chainsWithTheSameExpiry.Where(x => x.StrikePrice >= lastPrice)
.OrderBy(x => x.StrikePrice)
.ToList()
.FindIndex(x => x.StrikePrice.AlmostEqual(optionChain.StrikePrice)) + 1
: chainsWithTheSameExpiry.Where(x => x.StrikePrice <= lastPrice)
.OrderByDescending(x => x.StrikePrice)
.ToList()
.FindIndex(x => x.StrikePrice.AlmostEqual(optionChain.StrikePrice)) + 1;
coveredCall.NumberOfStrikesBelowAboveCurrentPrice = numberOfStrikes;
coveredCall.NumberOfSdBelowAboveCurrentPrice = probabilityInSigmas;
// coveredCall.HasEarnings = calendar != null && calendar.Date >= DateTime.Now && calendar.Date <= optionChain.Expiry;
// if (calendar != null)
// {
// coveredCall.DaysQuantityBeforeEarnings = (calendar.Date - DateTime.UtcNow).TotalDays;
// }
coveredCalls.Add(coveredCall);
if (bid.AlmostEqual(0.0))
{
coveredCall.RiskTolerance = RiskTolerance.NoBid;
continue;
}
if (!deviationIsSuitable)
{
if (currentPremium < minimumPremium)
{
coveredCall.RiskTolerance = RiskTolerance.LowPremium;
continue;
}
coveredCall.RiskTolerance = currentReturn >= minimumReturn
? RiskTolerance.Aggressive
: RiskTolerance.LowReturn;
continue;
}
if (currentPremium < minimumPremium)
{
coveredCall.RiskTolerance = RiskTolerance.LowPremium;
continue;
}
if (currentReturn < minimumReturn)
{
coveredCall.RiskTolerance = RiskTolerance.LowReturn;
continue;
}
if (!optimalIsFound.Contains(optionChain.Expiry.FutureDate) &&
daysQuantity >= 3 &&
daysQuantity <= 60
//&& (!coveredCall.HasEarnings || daysQuantity < coveredCall.DaysQuantityBeforeEarnings)
&& firstAboveBelowStdDev)
{
coveredCall.RiskTolerance = RiskTolerance.Optimal;
optimalIsFound.Add(optionChain.Expiry.FutureDate);
}
else
{
coveredCall.RiskTolerance = RiskTolerance.Conservative;
}
}
return(coveredCalls);
}
